Sentences with phrase «annualized standard deviation»

The Levy - Gunthorpe standard deviation is superior to calculating the annualized standard deviation of returns as the product of the standard deviation of the monthly returns multiplied by the square root of 12.

At about 15 %, the fund's volatility, measured by an annualized standard deviation of monthly returns in the entire analysis period, was slightly lower than that of the overall stock market.

Over this period, the fund generated an annualized excess return of 0.82 % with an annualized standard deviation of 4.35 %.

It is based on computing the annualized standard deviation of fluctuations in prices during the day.

From 1970 through 2007, a portfolio of 60 percent S&P 500 Index and 40 percent MSCI EAFE returned 11.3 percent per year with an annualized standard deviation of 13.75 percent.

The diversified portfolio returned 9.6 percent per year with an annualized standard deviation of 14.6 percent, while the S&P 500 returned 9.4 percent per year with an annualized standard deviation of 15.6 percent.

For the same time period, the S&P 500 returned 11.1 percent per year with an annualized standard deviation of 15.07 percent.

Since 1927, the index has earned an annualized return of 10 % with an annualized standard deviation of 20 %.

The annualized standard deviation is a more intimidating statistic, but you don't need to fully understand it in order to grasp its importance.

The annualized standard deviation for the fund in this analysis period was about 11.3 %, or close to 0.7 % higher than that of the reference ETF portfolio.

At 15.2 %, the fund's annualized standard deviation was about 0.7 % higher than than of the reference ETF portfolio.

The fund's volatility, measured by an annualized standard deviation of 26.5 %, was about 4 % higher than that of the reference ETF portfolio.

It's an annualized standard deviation of the anticipated movements over the time period of the option that it's implied from.

Historical volatility is the annualized standard deviation of past stock price movements.

Annualized standard deviation is a measure of the dispersion of a set of data from its mean.

Stocks were then ranked based on their 1 year sharpe ratio, or the annualized return of a stock divided by its annualized standard deviation of the weekly returns.

At close to 16.8 %, the fund's annualized standard deviation was about 2.3 % higher than that of the reference portfolio.

The volatility of the reference portfolio, measured as the annualized standard deviation of monthly returns, was slightly higher than that of the fund.

A recent study found that U.S. stock funds with yields over 2 % (meaning they hold mostly dividend stocks) had an average three - year annualized standard deviation (a measure of volatility) of three percentage points less than stock funds yielding less than 2 %.

It has a three year annualized standard deviation of 10.58 %, higher than ICVT.

The fund's volatility, measured as an annualized standard deviation of monthly returns, was about 10 % above that of the reference portfolio.

I know the historical volatility is the annualized standard deviation of the stock.

Grouped funds are plotted in terms of 3 year annualized standard deviation versus 3 year compound return

The chart shows that the annualized standard deviation of the least popular quartile was 20.18 %; the most popular quartile, by comparison, actually had a much higher annualized standard deviation of 28.35 % — suggesting that this measure of unpopularity actually gives higher returns with less risk.

Since the Fund's launch in 1989, investors have doubled their money every 10 years, no matter when they bought the fund... The fund has outperformed global equities with 1/3 less risk [based on annualized standard deviation of monthly returns for Institutional shares from 2/28/89 to 12/31/13, compared to the FTSE World Index].

For even more perspective, the Credit Suisse Global Investment Returns Yearbook 2014 reports that the return of US stocks had an annualized standard deviation of about 20 % from 1928 through 2013.

Over the entire seven - year period, the annualized standard deviation was 13.6 % compared to 12.9 % for the reference portfolio.

For this comparison, Sharpe is defined as fund annualized percentage return (APR) minus 90 - day TBill APR divided by fund annualized standard deviation STDEV, all over the same period, which is lifetime of fund (or back to January 1962).

Take a set of 5 - year annual returns, and calculate the annualized standard deviation of returns (using monthly deviations and annualizing them is informative).

«Identifying VXX / XIV Tendencies» finds that the Volatility Risk Premium (VRP), estimated as the difference between the current level of the S&P 500 implied volatility index (VIX) and the annualized standard deviation of S&P 500 Index daily returns over the previous 21 trading days (multiplying by the square root of 250 to annualize), may be a useful predictor of iPath S&P 500 VIX Short - term Futures ETN (VXX) and VelocityShares Daily Inverse VIX Short - term ETN (XIV) returns.

Key performance metrics are annualized average gross return, annualized standard deviation of returns, annualized gross Sharpe ratio (assuming risk - free rate 0 %) and maximum drawdown.

Volatility represented by annualized standard deviation of monthly returns for Institutional shares, all other share classes will vary, from first month - end after inception (2/28/89).

Calculated by annualizing the standard deviation of the fund's daily returns over the 1 - year period ended as of the date of the calculation.

Not exact matches

Standard deviation is annualized.

Calculate daily realized volatility of IEF as the standard deviation of daily total returns over the past 21 trading days, multiplied by the square root of 252 to annualize.

The DFEOX tracked JMHH most closely, although at a lower annualized return and a slightly higher standard deviation.

We examine how annualized historical volatility is computed from daily log returns, variance and standard deviation.

If you look at the standard deviation column, you can see how bonds will smooth out the ride but might affect your annualized return.

Here are the standard deviations for HSWR50 its annualized return (return0) for 6, 10 and 14 years.

Specifically, it is the ratio of the fund's annualized excess return divided its standard deviation.

While IJR outperformed MDY in terms of the annualized return, alpha and Sharpe ratio (just slightly), it also had the highest standard deviation (volatility), maximum drawdown and beta of all three ETFs.

The annualized return (approximately) equals the average return minus one - half of the standard deviation squared (or one - half of the variance).

The display metrics include averages for Total Return, Annualized Percent Return (APR), Maximum Drawdown (MAXDD), MAXDD Recovery Time, Standard Deviation (STDEV, aka volatility), and MFO Risk Group ranking.

However, annualized risk, as measured by standard deviation calculated based on monthly total return for the same period stood at 15.25 %.

Over the seven - year period from 2008 to 2014, the annualized return for the 60/40 combination was 7.01 %, with a standard deviation of 13.21 %.

Standard deviation is annualized.

Standard deviation and expected return in the efficient frontier are annualized from the monthly returns

Risk characteristics (standard deviation, Sharpe ratio, Sortino ratio) are calculated from monthly returns and annualized, and maximum drawdown is calculated from monthly portfolio balances.

Since its October 2014 inception, AQR Equity Market Neutral Fund I QMNIX has returned 18.6 % annualized with a standard deviation of 7.0 %, for a Sharpe ratio of 2.66.

To investigate, we consider two measures of U.S. stock market volatility: (1) realized volatility, calculated as the standard deviation of daily S&P 500 Index return over the last 21 trading days (annualized); and, (2) implied volatility as measured by the Chicago Board Options Exchange Market Volatility Index (VIX).